Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 9 | 9 | 9 |
| Score | 5.1 | 5.52 | 6.37 |
| Market Cap (Millions USD) | 371.13 | 363.25 | 351.47 |
| Predicted Beta | 1.25 | 1.24 | 1.22 |
| Idiosyncratic Volatility | 1.67 | 1.69 | 1.67 |
Annualized return and volatility
| XNTK | |
|---|---|
| Annualized Return | 0.0481 |
| Annualized Std Dev | 0.2641 |
| Annualized Sharpe (Rf=0%) | 0.1820 |
Row
Daily Return Statistics
| XNTK | |
|---|---|
| Observations | 4920.0000 |
| NAs | 194.0000 |
| Minimum | -0.1114 |
| Quartile 1 | -0.0068 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0077 |
| Maximum | 0.1646 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0166 |
| Skewness | 0.3979 |
| Kurtosis | 7.0664 |
Downside Risk
| XNTK | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0125 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.7626 |
| Historical VaR (95%) | -0.0268 |
| Historical ES (95%) | -0.0389 |
| Modified VaR (95%) | -0.0227 |
| Modified ES (95%) | -0.0236 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-10-24 | 2002-10-07 | 2014-01-15 | -0.7626 | 3383 | 496 | 2887 |
| 2018-06-15 | 2018-12-24 | 2019-04-23 | -0.2729 | 218 | 136 | 82 |
| 2015-12-02 | 2016-02-09 | 2016-07-20 | -0.2147 | 161 | 48 | 113 |
| 2019-05-06 | 2019-06-03 | 2019-07-15 | -0.1369 | 50 | 21 | 29 |
| 2015-08-06 | 2015-08-25 | 2015-10-23 | -0.1182 | 56 | 14 | 42 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | XNTK | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 | 1.8 | 0.0 | 1.4 |
| 2001 | 0.7 | 1.0 | 0.0 | 1.6 | 2.1 | 0.0 | 2.7 | 0.0 | -1.4 | 2.0 | 0.0 | 0.0 | 9.0 |
| 2002 | -1.6 | 4.2 | 1.5 | -1.6 | 0.0 | -4.4 | -2.9 | 0.0 | 3.4 | 0.0 | 0.0 | 0.0 | -1.6 |
| 2003 | 0.0 | 0.0 | -0.5 | -0.2 | 0.0 | -0.6 | -0.7 | 0.0 | 1.3 | 0.0 | 1.4 | 0.0 | 0.8 |
| 2004 | 0.0 | 1.4 | 1.7 | 0.0 | -0.5 | -2.0 | 0.0 | 0.6 | 3.2 | 0.6 | 1.4 | 0.0 | 6.4 |
| 2005 | 0.1 | 1.0 | -0.9 | 0.0 | 0.8 | 0.1 | -0.1 | -0.1 | 0.0 | -0.3 | 1.8 | 0.0 | 2.3 |
| 2006 | 0.2 | 1.8 | 0.0 | -0.4 | 2.1 | 0.0 | -1.9 | -0.1 | 0.0 | -1.6 | -1.5 | 0.0 | -1.5 |
| 2007 | 0.4 | -0.7 | 0.0 | 0.4 | 0.1 | 0.0 | 0.9 | 0.0 | 1.4 | -2.1 | 0.0 | 0.0 | 0.4 |
| 2008 | 2.9 | 0.0 | 3.7 | 2.6 | 0.0 | -0.1 | -0.1 | 0.0 | -0.2 | 0.0 | -6.5 | 0.0 | 2.0 |
| 2009 | 0.0 | 0.0 | 2.5 | 0.6 | 3.9 | 0.3 | 0.0 | -1.9 | -2.8 | 0.0 | 1.6 | 0.0 | 4.1 |
| 2010 | 1.8 | 1.8 | -0.3 | 0.0 | -1.4 | 0.0 | 0.0 | 3.3 | -0.2 | -0.4 | 1.9 | 0.0 | 6.7 |
| 2011 | 2.1 | -1.8 | 0.1 | 0.0 | -2.1 | 1.4 | -0.5 | -1.0 | 0.0 | -2.3 | 1.0 | 0.0 | -3.2 |
| 2012 | 2.4 | 0.3 | 0.0 | 0.9 | -3.2 | 0.0 | -0.4 | 0.0 | -0.5 | 1.7 | 0.0 | 0.0 | 1.0 |
| 2013 | 1.1 | 0.5 | -0.6 | -0.8 | 0.0 | 0.6 | 1.2 | 0.0 | 0.5 | -0.2 | 0.0 | 0.0 | 2.3 |
| 2014 | 0.0 | 0.0 | 1.4 | 0.2 | 0.0 | 1.2 | -0.4 | 0.0 | -1.9 | 0.0 | -0.9 | 0.0 | -0.5 |
| 2015 | 0.0 | 0.0 | -0.8 | 0.6 | 0.6 | 0.3 | 0.0 | -3.4 | 0.5 | 0.0 | 1.2 | 0.0 | -1.1 |
| 2016 | 0.8 | 2.1 | 0.4 | 0.0 | -0.1 | 0.4 | 0.1 | 0.2 | 0.0 | -0.7 | -3.0 | 0.0 | 0.1 |
| 2017 | -0.1 | 0.6 | 0.0 | 0.9 | 1.0 | 0.0 | 0.3 | 0.5 | 0.0 | -0.2 | -0.6 | 0.0 | 2.3 |
| 2018 | -0.9 | -1.6 | 0.0 | 0.9 | 2.0 | 0.0 | 0.0 | 0.0 | 0.6 | 2.4 | 0.0 | 0.0 | 3.3 |
| 2019 | 0.2 | 0.4 | 1.9 | -0.5 | 0.0 | 1.8 | -1.1 | 0.0 | -0.7 | 0.9 | 0.0 | 0.1 | 3.0 |
Row
Rolling Performance Chart
Snail Trail Chart
